Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0654 |
| Annualized Std Dev | 0.1629 |
| Annualized Sharpe (Rf=0%) | 0.4013 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3957.0000 |
| NAs | 1.0000 |
| Minimum | -0.0972 |
| Quartile 1 | -0.0046 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0056 |
| Maximum | 0.0742 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0103 |
| Skewness | -0.4230 |
| Kurtosis | 7.4196 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0075 |
| Gain Deviation | 0.0069 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0074 |
| Downside Deviation (0%) | 0.0074 |
| Maximum Drawdown | 0.4172 |
| Historical VaR (95%) | -0.0160 |
| Historical ES (95%) | -0.0246 |
| Modified VaR (95%) | -0.0162 |
| Modified ES (95%) | -0.0315 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2009-03-09 | 2010-12-01 | -0.4172 | 883 | 445 | 438 |
| 2019-09-06 | 2020-03-23 | 2020-12-31 | -0.2916 | 334 | 137 | 197 |
| 2018-01-29 | 2018-12-24 | 2019-08-16 | -0.1810 | 391 | 229 | 162 |
| 2011-07-22 | 2011-10-03 | 2013-01-14 | -0.1586 | 372 | 51 | 321 |
| 2015-08-18 | 2016-02-08 | 2016-07-06 | -0.1175 | 223 | 120 | 103 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | -0.3 | -0.2 | 0.3 | 0.7 | -0.5 | 1.3 | -0.8 | 0.6 |
| 2006 | -0.1 | 0.3 | 0.1 | 0.9 | 1.3 | -0.1 | -0.6 | 0.7 | -0.8 | -1.1 | -0.6 | -0.7 | -0.6 |
| 2007 | 0.7 | -0.2 | 0.4 | 0.8 | 1.4 | 0 | 0.2 | 0.8 | 0.4 | -3.3 | 0.4 | -1.5 | -0.2 |
| 2008 | 2.8 | -1 | 2.1 | 0.7 | 0.4 | -0.2 | 0.3 | -1.4 | 0.7 | 1.2 | -6.4 | 2.1 | 0.8 |
| 2009 | -3.1 | -0.1 | 0.9 | 0.1 | 1.5 | 2.2 | -0.7 | -1 | -1.5 | -1.4 | 1.2 | -0.9 | -2.9 |
| 2010 | 1 | 0.7 | 0.8 | -0.9 | -0.7 | 0.2 | 0.5 | 2 | 0.5 | 0.1 | 1.5 | -0.7 | 5 |
| 2011 | 1.2 | -1.2 | -0.2 | 0.4 | -1.8 | 1.2 | -0.6 | -1.6 | -1.6 | -2.3 | -0.1 | -1 | -7.2 |
| 2012 | 0.6 | 0.5 | 0.1 | 0.5 | -2.4 | 3 | -0.6 | 0.3 | 0.6 | 0.8 | 0.3 | 1.2 | 4.9 |
| 2013 | 0.6 | 0.4 | -0.9 | -1.2 | -0.6 | 1.1 | 1.6 | -0.6 | 0.6 | -0.2 | -0.7 | 0.2 | 0.2 |
| 2014 | 0 | 0.5 | 0.3 | -0.4 | 0.4 | 0.6 | 0.6 | 0.5 | -1.2 | 1.5 | -1.1 | -1.3 | 0.2 |
| 2015 | -2.1 | 0.2 | 0.2 | 0.9 | -0.2 | 1 | 0.1 | -2.1 | -0.1 | -0.4 | 0.2 | -1.3 | -3.4 |
| 2016 | 0.5 | 0.9 | 1.5 | 0 | 0.7 | -0.4 | -0.3 | -0.6 | 0.9 | 0 | -1.2 | -0.7 | 1.3 |
| 2017 | -0.2 | 0.4 | 0.3 | -0.8 | 1.5 | 0.3 | 0 | 0.7 | 0 | -0.1 | 0 | 0.1 | 2.2 |
| 2018 | -1.1 | -1 | 1.2 | -0.8 | -0.1 | -0.4 | -0.9 | 1.3 | -0.6 | -0.3 | 0 | 0.5 | -2.3 |
| 2019 | -0.2 | 0.1 | -0.3 | -0.7 | -0.8 | 0.4 | 0.1 | 0.4 | -0.9 | -0.2 | -0.4 | -0.1 | -2.5 |
| 2020 | -1.6 | -2.5 | -2.6 | -2.4 | 0.3 | -0.5 | -0.5 | 0.1 | 1 | -1.6 | 0.8 | 0.9 | -8.3 |
| 2021 | -0.1 | 2 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
